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Novikov, A.; Shiryaev, A. N.

Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. (English) Zbl 1291.62151

Sequential Anal. 33, No. 2, 182-185 (2014).
Summary: We are glad to offer some comments on [T. N. Sriram and R. Iaci, Sequential Anal. 33, No. 2, 136–157 (2014; Zbl 1319.62193)]. These comments taken in the light of the paper under discussion will hopefully broaden the scope of future research in this important field.

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MSC:

62L12 Sequential estimation
60G40 Stopping times; optimal stopping problems; gambling theory
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F25 Parametric tolerance and confidence regions
60G10 Stationary stochastic processes

Keywords:

Bayesian sequential estimators; diffusion processes; Ornstein-Uhlenbeck process; stopping rules

Citations:

Zbl 1319.62193
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\textit{A. Novikov} and \textit{A. N. Shiryaev}, Sequential Anal. 33, No. 2, 182--185 (2014; Zbl 1291.62151)
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References:

[1] DOI: 10.1080/07474946.2013.803809 · Zbl 1294.62175
[2] Lipster R. S., Statistics of Random Processes I: General Theory (2001)
[3] Lipster R. S., Statistics of Random Processes II: Applications (2001)
[4] Novikov , A. A. ( 1970 ). Stochastic Integrals and Sequential Estimation, Master’s thesis, Moscow Institute of Physics and Technology (FizTech), Russia.
[5] Novikov A. A., Teoriya Veroyatnostei i ee Primeneniya 16: 394–396. English translation in SIAM Journal of Theory Probability and Its Applications 16 pp 391– (1971)
[6] Novikov A. A., Mathematik Zametki 12: 627–638. English translation in Mathematical Notes 12 pp 812– (1972)
[7] Sriram T. N., Sequential Analysis 33 pp 136– (2014) · Zbl 1319.62193
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.